T. Bera and L. Higgins, "ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, vol. 7, no. 4, pp. 305--362, 1993. Home/Search Document Not in Database Summary Related Articles Check |
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Value-At-Risk For Long And Short Trading Positions - Giot, Laurent (2001) (Correct)
....their performances and characterize the long and short VaR. 2 2 VaR models In this section we present parametric VaR models of the ARCH class. ARCH class models were first introduced by Engle (1982) with the ARCH model. Since then, numerous extensions have been put forward, see Engle (1995) Bera and Higgins (1993) or Palm (1996) but they all share the same goal, i.e. modelling the conditional variance as a function of past (squared) returns and associated characteristics. Because quantiles are direct functions of the variance in parametric models, ARCH class models immediately translate into conditional ....
Bera, A., and M. Higgins (1993): "ARCH models: properties, estimation and testing," Journal of Economic Surveys.
Realized Stock Volatility - Ebens (1999) (3 citations) (Correct)
....for temporal dependencies in the conditional mean of returns (r t ) other than a constant term ( Since we found in Section 3. 3 only very little evidence for the ARCH M 12 Recent studies surveying the various ARCH models include Pagan (1996) Palm (1996) Bollerslev, Engle and Nelson (1994) Bera and Higgins (1993) and Bollerslev, Chou and Kroner (1992) 19 e#ect, we therefore consider representations of the form: 13 r t = # t # t = # t z t (7) where E[z t ] 0andE[z 2 t ] 1. The conditional variance process in the FIGARCH (q,d,p) model is defined as: # 2 t = # # # 1 #(L p ) # # ....
Bera, A. K. and M. L. Higgins. 1993. "ARCH Models: Properties, Estimation and Testing." Journal of Economic Surveys 3:15--102.
Forecasting Time-dependent Conditional Densities: A.. - Schittenkopf.. (1999) (Correct)
....and conditional kurtosis. This extension of the concept of heteroskedasticity to higher order moments is an attractive feature of our model. Indeed, it is rather unrealistic to expect that a single parametric specification of the conditional density is suitable for all kinds of return series data (Bera and Higgins, 1993). A natural solution is thus to modify the shape 2 of the conditional density in dependence of the data as in our model. Besides that, the neural network based model allows for non linear dependences in the conditional mean and in the conditional variance. In the following sections we will ....
....skewness is 0. As for the (G)ARCH models, the skewness and the kurtosis of the conditional distribution are not time dependent. The number of publications dealing with extensions of the GARCH model is tremendous. For a comprehensive overview the reader is refered to (Bollerslev et al. 1992) and (Bera and Higgins, 1993). Some extensions are straightforward in the sense that only the specification of the conditional variance has to be changed according to Eq. 5) For instance, the semi parametric ARCH model (Engle and Gonz alez Rivera, 1991) becomes a semi parametric GARCH model if the specification of the ....
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Bera, Anil K. and Higgins, Matthew L., "ARCH models: properties, estimation and testing", Journal of Economic Surveys, 7 (1993), 307-366.
Applied Econometrics - Course Outline - Bergland (1998) (Correct)
....1983, 1984, 1986; Engle and McFadden, 1994) This course is not covering all aspects of econometrics. One omission is time series (Box and Jenkins, 1976; Hamilton, 1994) another is the recent developments in time series econometrics by Hendry and others (Hendry and Richard, 1983; Engle, 1982; Bera and Higgins, 1993), and another is the emerging field of simulation based estimation and inference (McFadden and Ruud, 1994; Hajivassiliou and Ruud, 1994; Efron, 1987; Stine, 1990) I feel some regret, as in previous years, that I have not adopted a Bayesian approach to the material (Berger, 1985; Poirier, 1995) ....
Bera, A. K., and M. L. Higgins (1993): "ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, 7(4), 305--366.
Pareto Evolutionary Neural Networks - Jonathan Fieldsend Member (Correct)
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T. Bera and L. Higgins, "ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, vol. 7, no. 4, pp. 305--362, 1993.
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